tsuz/go-pine

package pine

import (
    "fmt"
)

// Stdev generates a ValueSeries of one standard deviation
//
// Simplified formula is
//   - s = sqrt(1 / (N-1) * sum(xi - x)^2)
//
// Parameters
//   - p - ValueSeries: source data
//   - l - int64: lookback periods [1, ∞)
//
// TradingView's PineScript has an option to use an unbiased estimator, however; this function currently supports biased estimator.
// Any effort to add a bias correction factor is welcome.
func Stdev(p ValueSeries, l int64) ValueSeries {
    key := fmt.Sprintf("stdev:%s:%d", p.ID(), l)
    stdev := getCache(key)
    if stdev == nil {
        stdev = NewValueSeries()
    }

    // current available value
    stop := p.GetCurrent()
    if stop == nil {
        return stdev
    }

    if stdev.Get(stop.t) != nil {
        return stdev
    }

    vari := Variance(p, l)

    stdev = Pow(vari, 0.5)

    setCache(key, stdev)

    stdev.SetCurrent(stop.t)

    return stdev
}